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Table 7 Portfolio performance over the 400-day out-of-sample period

From: Forecasting the volatility of EUA futures with economic policy uncertainty using the GARCH-MIDAS model

Model \(\gamma\) = 3 \(\gamma\)= 6 \(\gamma = 9\)
R CER R CER R CER
GM-\(^{\Delta }GEPU\) 0.132* 0.095 0.065 0.045 0.043 0.029
GM-\(^{\Delta }EEPU\) 0.147* 0.111 0.082 ** 0.062 0.057** 0.043
GARCH 0.098 0.076 0.048 0.037 0.032 0.025
GJRGARCH 0.064 0.050 0.031 0.024 0.021 0.016
NAGARCH 0.046 0.036 0.023 0.018 0.015 0.011
NGARCH 0.105* 0.081 0.052 0.040 0.034 0.026
EGARCH 0.093 0.071 0.046 0.035 0.030 0.023
IGARCH 0.098 0.076 0.049 0.037 0.032 0.024
  1. R is the mean excess returns and CER denotes the certainty equivalent returns. \(^{**}, ^{*}\) indicate significance at the 5% and 10% levels, respectively, under the t-statistics test. All values were based on days multiplied by 100. Bold numbers represent the largest values for each column